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Do option open-interest changes foreshadow future equity returns?
16 references·0 citing·35 second hop
Do option open-interest changes foreshadow future equity returns? (2011)Do option open-interest changes foreshado…Deviations from Put-Call Parity and Stock Return Predictability (2010)Deviations from Put-Call Pari…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)The Pricing of Options and Corporate Liabilities (1973)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1979Forecasting Economic Time Series1,004 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 2010Deviations from Put-Call Parity and Stock Return Predictability624 cited
  • 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited

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1982
Option Prices as Predictors of Equilibrium Stock Prices
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